REVIEW OF FINANCE · VOL. 19, ISSUE. 1·MARCH 2015

使用收益率曲線和股票市場流動性偏差預測經濟衰退

作者：Oral Erdogan, Paul Bennett, Cenktan Ozyildirim

摘要：本文通過加入股票市場的流動性偏差因素拓展了Estrella和Hardouvelis标杆式的期限利差方法來預測經濟衰退。參考美國經濟研究局的定義，我們使用probit模型對1959年第一季度至2011年第四季度的經濟衰退進行預測。基于樣本内和樣本外的測試，本文發現将股票市場的流動性偏差和到期收益率結合能夠顯著提高對美國經濟衰退發生的預測能力。此外，考慮股票市場深度的變化能夠提高模型的精準度。因此，本文建議經濟預測者和經濟穩定政策的制定者們在研究收益率曲線之餘，也要注意對股票市場的深度和流動性以及二者相互的偏離度進行監控。

關鍵詞：收益率曲線，宏觀流動性偏差，股票市場深度，經濟衰退，probit模型

Recession Prediction Using Yield Curve and Stock Market Liquidity Deviation Measures

Oral Erdogan, Paul Bennett, Cenktan Ozyildirim

ABSTRACT

This article extends the benchmark Estrella and Hardouvelis term spread approach to recession forecasting by including the stock market macro liquidity deviation factor. We use a probit framework to predict recessions, as defined by the NBER between 1959Q1 and 2011Q4. We find that combining the yield curve parameter with the stock market liquidity deviation significantly improves our ability to predict the onset of a US recession, based both on in-sample and out-of-sample tests. In addition, changes in stock market depth further increase the accuracy of the model. We suggest that economic forecasters and those charged with conducting economic stabilization policy more generally would benefit from monitoring not only the yield curve but also stock market depth and liquidity, and their deviation from one another.

Keywords: Yield curve, macro liquidity deviation, stock market depth, recession, probit model

原文鍊接：

http://rof.oxfordjournals.org/content/19/1/407

翻譯：金明